PhD: Bayesian Nonparametrics for Stochastic Differential Equations
Closing date01-06-2010
Vacancy nr.EWI2010-09
Department/faculty: Electrical Engineering, Mathematics and Computer Science
Level: Master degree
Working hours: 38 uur per week (Maximum of 38 hours per week (1 FTE))
Contract: Four years
Salary: €2042 to €2612 per month gross
Electrical Engineering, Mathematics and Computer Science
The faculty of Electrical Engineering, Mathematics and Computer Science (EEMCS) is known world wide for its high academic quality and social relevance of its research programs. The faculty’s excellent facilities accentuate its international position in teaching and research. The faculty offers an interdisciplinary setting for its 500 employees, 350 PhD students and 1700 undergraduates. Together they work on a broad range of technical innovations in the fields of sustainable energy, telecommunications, microelectronics, embedded systems, computer and software engineering, interactive multimedia and applied mathematics. EEMCS: Your Connection to the Future.
Job description
Project: 'Bayesian nonparametrics for diffusion processes'.
Diffusion processes are natural statistical models for many phenomena. Currently, these processes are especially popular to model financial time series. Estimating unknown parameters in the drift and/or diffusion function is a challenging and important problem. We aim to construct and analyse statistical procedures using Bayesian analysis. Especially in the nonparametric case, not much is known about such procedures, e.g., convergence rates are not known. The corresponding computational problem has recently received some attention, but a completely satisfactory solution is still unavailable. Depending on the candidate’s interests, the focus in this project may be either on the theoretical study of the procedures or on the development of fast and efficient algorithms.
Extensions of the present setup include stochastic volatility models, the multivariate setting, and models driven by a Levy process instead of a Brownian motion.
The candidate will write a PhD thesis on problems related to the project description and will have minor teaching duties in the area of probability and statistics.
The position is funded by the STAR (stochastics) cluster of the Dutch Science Foundation NWO and Delft University of Technology. The project is a cooperation between Delft University of Technology and EURANDOM.
Requirements
We are looking for a candidate with a master’s degree and excellent grades in probability and/or statistics, preferably in an area related to the proposed research.
Conditions of employment
TU Delft offers an attractive benefits package, including a flexible work week, free high-speed Internet access from home, and the option of assembling a customised compensation and benefits package (the 'IKA'). Salary and benefits are in accordance with the Collective Labour Agreement for Dutch Universities.
Information and application
For more information about this position, please contact Frank van der Meulen (phone: +31 (0)15-2784517, e-mail:
f.h.vandermeulen@tudelft.nl) or Harry van Zanten (phone: +31 (0)40-2474464, e-mail:
J.H.v.Zanten@tue.nl). To apply, please e-mail a detailed CV along with a letter of application by 1 June 2010 to A.C.M. Hoek,
peno-ewi@tudelft.nl.
When applying for this position, make sure to mention vacancy number EWI2010-09.
Enquiries from agencies are not appreciated.
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